IDEAS home Printed from https://ideas.repec.org/a/spr/empeco/v66y2024i4d10.1007_s00181-023-02497-5.html
   My bibliography  Save this article

Do the export reactions to exchange rate and exchange rate volatility differ depending on technology intensity? New evidences from the panel SVAR analysis

Author

Listed:
  • Caglayan Aslan

    (OSTIM Technical University)

  • Ferdi Akpiliç

    (Republic of Turkey Ministry of Treasury and Finance)

Abstract

This paper investigates the impact of exchange rate and exchange rate volatility on export performance by considering technological classification in addition to total exports. The study utilizes a panel SVAR methodology introduced by Pedroni P (2013) Structural panel vars. Econometrics 1(2):180–206. and analyzes panel data covering 58 countries and 48 quarters from the period of 2010Q1 to 2021Q4. Although the results suggest no precise evidence that exchange rate and exchange rate volatility shocks affect total export volumes, they exhibit heterogeneity across countries and vary in terms of technological density. Countries that have more flexible exchange rate policies and use large volumes of imported materials to produce export products demonstrate, on average, higher sensitivity to exchange rate volatility. Additionally, as the share of exports crossing more than one country border in total exports increases, the exposure of export to exchange rate volatility also rises. Countries described as commodity exporters and large energy consumers tend to be less responsive to exchange rate levels in their exports.

Suggested Citation

  • Caglayan Aslan & Ferdi Akpiliç, 2024. "Do the export reactions to exchange rate and exchange rate volatility differ depending on technology intensity? New evidences from the panel SVAR analysis," Empirical Economics, Springer, vol. 66(4), pages 1587-1631, April.
    • Handle: RePEc:spr:empeco:v:66:y:2024:i:4:d:10.1007_s00181-023-02497-5
    DOI: 10.1007/s00181-023-02497-5
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s00181-023-02497-5
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s00181-023-02497-5?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Mayer, Thierry & Steingress, Walter, 2020. "Estimating the effect of exchange rate changes on total exports," Journal of International Money and Finance, Elsevier, vol. 106(C).
    2. Matthieu Bussière & Guillaume Gaulier & Walter Steingress, 2020. "Global Trade Flows: Revisiting the Exchange Rate Elasticities," Open Economies Review, Springer, vol. 31(1), pages 25-78, February.
    3. Kenen, Peter B & Rodrik, Dani, 1986. "Measuring and Analyzing the Effects of Short-term Volatility in Real Exchange Rates," The Review of Economics and Statistics, MIT Press, vol. 68(2), pages 311-315, May.
    4. Na Hao & Peter Pedroni & Gregory Colson & Michael Wetzstein, 2017. "The linkage between the U.S. ethanol market and developing countries’ maize prices: a panel SVAR analysis," Agricultural Economics, International Association of Agricultural Economists, vol. 48(5), pages 629-638, September.
    5. Baum, Christopher F. & Caglayan, Mustafa, 2010. "On the sensitivity of the volume and volatility of bilateral trade flows to exchange rate uncertainty," Journal of International Money and Finance, Elsevier, vol. 29(1), pages 79-93, February.
    6. Cheung, Yin-Wong & Sengupta, Rajeswari, 2013. "Impact of exchange rate movements on exports: An analysis of Indian non-financial sector firms," Journal of International Money and Finance, Elsevier, vol. 39(C), pages 231-245.
    7. Nicolas Berman & Philippe Martin & Thierry Mayer, 2012. "How do Different Exporters React to Exchange Rate Changes?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 127(1), pages 437-492.
    8. Rebecca Neumann & Saleh S. Tabrizy, 2021. "Exchange Rates and Trade Balances: Effects of Intra-Industry Trade and Vertical Specialization," Open Economies Review, Springer, vol. 32(3), pages 613-647, July.
    9. Boyd, Derick & Caporale, Gugielmo Maria & Smith, Ron, 2001. "Real Exchange Rate Effects on the Balance of Trade: Cointegration and the Marshall-Lerner Condition," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(3), pages 187-200, July.
    10. Mohsen Bahmani-Oskooee, 2001. "Nominal and real effective exchange rates of middle eastern countries and their trade performance," Applied Economics, Taylor & Francis Journals, vol. 33(1), pages 103-111.
    11. Vivian Yue & Sangeeta Pratap & George Alessandria, 2010. "Export Dynamics in Large Devaluations," 2010 Meeting Papers 1067, Society for Economic Dynamics.
    12. Sandile Hlatshwayo & Mr. Magnus Saxegaard, 2016. "The Consequences of Policy Uncertainty: Disconnects and Dilutions in the South African Real Effective Exchange Rate-Export Relationship," IMF Working Papers 2016/113, International Monetary Fund.
    13. Hooy, Chee-Wooi & Siong-Hook, Law & Tze-Haw, Chan, 2015. "The impact of the Renminbi real exchange rate on ASEAN disaggregated exports to China," Economic Modelling, Elsevier, vol. 47(C), pages 253-259.
    14. Arize, Augustine C. & Osang, Thomas & Slottje, Daniel J., 2008. "Exchange-rate volatility in Latin America and its impact on foreign trade," International Review of Economics & Finance, Elsevier, vol. 17(1), pages 33-44.
    15. Çağlayan Aslan & Oğuzhan Çepni & Selçuk Gül, 2021. "The impact of real exchange rate on international trade: Evidence from panel structural VAR model," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 30(6), pages 829-842, August.
    16. Kristian Nilsson & Lars Nilsson, 2000. "Exchange Rate Regimes and Export Performance of Developing Countries," The World Economy, Wiley Blackwell, vol. 23(3), pages 331-349, March.
    17. M Bahmani-Oskooee & H Harvey & S.W. Hegerty, 2015. "Exchange-Rate Volatility and Commodity Trade: The Case of the US and Italy," Economic Issues Journal Articles, Economic Issues, vol. 20(2), pages 1-27, September.
    18. Hooper, Peter & Kohlhagen, Steven W., 1978. "The effect of exchange rate uncertainty on the prices and volume of international trade," Journal of International Economics, Elsevier, vol. 8(4), pages 483-511, November.
    19. Paudel, Ramesh C. & Burke, Paul J., 2015. "Exchange rate policy and export performance in a landlocked developing country: The case of Nepal," Journal of Asian Economics, Elsevier, vol. 38(C), pages 55-63.
    20. Asteriou, Dimitrios & Masatci, Kaan & Pılbeam, Keith, 2016. "Exchange rate volatility and international trade: International evidence from the MINT countries," Economic Modelling, Elsevier, vol. 58(C), pages 133-140.
    21. Warner, Dennis & Kreinin, Mordechai E, 1983. "Determinants of International Trade Flows," The Review of Economics and Statistics, MIT Press, vol. 65(1), pages 96-104, February.
    22. Tenreyro, Silvana, 2007. "On the trade impact of nominal exchange rate volatility," Journal of Development Economics, Elsevier, vol. 82(2), pages 485-508, March.
    23. Ahmed Swarnali & Appendino Maximiliano & Ruta Michele, 2017. "Global value chains and the exchange rate elasticity of exports," The B.E. Journal of Macroeconomics, De Gruyter, vol. 17(1), pages 1-24, January.
    24. Rose, Andrew K., 1990. "Exchange rates and the trade balance : Some evidence from developing countries," Economics Letters, Elsevier, vol. 34(3), pages 271-275, November.
    25. Peter Pedroni, 2013. "Structural Panel VARs," Econometrics, MDPI, vol. 1(2), pages 1-27, September.
    26. Cushman, David O., 1983. "The effects of real exchange rate risk on international trade," Journal of International Economics, Elsevier, vol. 15(1-2), pages 45-63, August.
    27. Bogale Hunegnaw, Fetene, 2017. "Real Exchange Rate and Manufacturing Export Competitiveness in Eastern Africa," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 32(4), pages 891-912.
    28. Chor, Davin & Manova, Kalina, 2012. "Off the cliff and back? Credit conditions and international trade during the global financial crisis," Journal of International Economics, Elsevier, vol. 87(1), pages 117-133.
    29. Richardson Kojo Edeme & Nelson C. Nkalu & Chisom Emecheta & Sam Ugwu, 2017. "Trade Policies, Exchange Rate and Developing Country's Real Sector Export Performance," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 601-607.
    30. Muhammad Aftab & Zaheer Abbas & Farrukh Nawaz Kayani, 2012. "Impact of exchange rate volatility on sectoral exports of Pakistan: an ARDL investigation," Journal of Chinese Economic and Foreign Trade Studies, Emerald Group Publishing Limited, vol. 5(3), pages 215-231, September.
    31. Bernardin Senadza & Desmond Delali Diaba, 2017. "Effect of exchange rate volatility on trade in Sub-Saharan Africa," Journal of African Trade, Springer, vol. 4(1), pages 20-36, March.
    32. Muhammad Aftab & Zaheer Abbas & Farrukh Nawaz Kayani, 2012. "Impact of exchange rate volatility on sectoral exports of Pakistan: an ARDL investigation," Journal of Chinese Economic and Foreign Trade Studies, Emerald Group Publishing Limited, vol. 5(3), pages 215-231, September.
    33. Flavio Vilela Vieira & Ronald MacDonald, 2016. "Exchange rate volatility and exports: a panel data analysis," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 43(2), pages 203-221, May.
    34. Arize, A. C., 1996. "Real exchange-rate volatility and trade flows: The experience of eight European economies," International Review of Economics & Finance, Elsevier, vol. 5(2), pages 187-205.
    35. Ahmed,Swarnali & Appendino,Maximiliano Andres & Ruta,Michele, 2015. "Depreciations without exports ? global value chains and the exchange rate elasticity of exports," Policy Research Working Paper Series 7390, The World Bank.
    36. Asseery, A. & Peel, D. A., 1991. "The effects of exchange rate volatility on exports : Some new estimates," Economics Letters, Elsevier, vol. 37(2), pages 173-177, October.
    37. Koray, Faik & Lastrapes, William D, 1989. "Real Exchange Rate Volatility and U.S. Bilateral Trade: A VAR Approach," The Review of Economics and Statistics, MIT Press, vol. 71(4), pages 708-712, November.
    38. Aqib Aslam & Samya Beidas-Strom & Mr. Rudolfs Bems & Oya Celasun & Zsoka Koczan, 2016. "Trading on Their Terms? Commodity Exporters in the Aftermath of the Commodity Boom," IMF Working Papers 2016/027, International Monetary Fund.
    39. Anderson, James E. & Vesselovsky, Mykyta & Yotov, Yoto V., 2016. "Gravity with scale effects," Journal of International Economics, Elsevier, vol. 100(C), pages 174-193.
    40. Mohsen Bahmani-Oskooee & Zohre Ardalani, 2006. "Exchange Rate Sensitivity of U.S. Trade Flows: Evidence from Industry Data," Southern Economic Journal, Southern Economic Association, vol. 72(3), pages 542-559, January.
    41. Mohsen Bahmani-Oskooee & Zohre Ardalani, 2006. "Exchange Rate Sensitivity of U.S. Trade Flows: Evidence from Industry Data," Southern Economic Journal, John Wiley & Sons, vol. 72(3), pages 542-559, January.
    42. Abdelhak S. Senhadji & Claudio E. Montenegro, 1999. "Time Series Analysis of Export Demand Equations: A Cross-Country Analysis," IMF Staff Papers, Palgrave Macmillan, vol. 46(3), pages 1-2.
    43. Mohsen Bahmani‐Oskooee & Zohre Ardalani, 2006. "Exchange Rate Sensitivity of U.S. Trade Flows: Evidence from Industry Data," Southern Economic Journal, John Wiley & Sons, vol. 72(3), pages 542-559, January.
    44. Paul De Grauwe, 1988. "Exchange Rate Variability and the Slowdown in Growth of International Trade," IMF Staff Papers, Palgrave Macmillan, vol. 35(1), pages 63-84, March.
    45. McKenzie, Michael D. & Brooks, Robert D., 1997. "The impact of exchange rate volatility on German-US trade flows," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(1), pages 73-87, April.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ferdi Akpilic & Caglayan Aslan, 2024. "The impact of real exchange rate uncertainty on exports by technology classification in emerging economies," International Economics and Economic Policy, Springer, vol. 21(4), pages 907-931, October.
    2. Mohsen Bahmani‐Oskooee & Toan Luu Duc Huynh & Muhammad Ali Nasir, 2021. "On the asymmetric effects of exchange‐rate volatility on trade flows: Evidence from US–UK Commodity Trade," Scottish Journal of Political Economy, Scottish Economic Society, vol. 68(1), pages 51-102, February.
    3. Mohsen Bahmani-Oskooee & Ridha Nouira & Sami Saafi, 2020. "Exchange-rate volatility and commodity trade between the U.S. and Germany: asymmetry analysis," International Economics and Economic Policy, Springer, vol. 17(1), pages 67-124, February.
    4. Mauricio Vaz Lobo Bittencourt & Paula Andrea Mosquera Agudelo, 2021. "The impacts of the exchange rate volatility on colombian trade with its main trade partners," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 18(2), pages 57-81, Julio-Dic.
    5. Chandan Sharma, 2019. "Exchange rate volatility and exports from India: a commodity-level panel data analysis," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 12(1), pages 23-44, June.
    6. Mohsen Bahmani‐Oskooee & Hanafiah Harvey, 2021. "Are the effects of exchange‐rate volatility on commodity trade between the U.S. and Mexico symmetric or asymmetric?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2998-3027, April.
    7. Tunc, Cengiz & Solakoglu, M. Nihat, 2017. "Not all firms react the same to exchange rate volatility? A firm level study," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 417-430.
    8. Hau, Harald, 2002. "Real Exchange Rate Volatility and Economic Openness: Theory and Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(3), pages 611-630, August.
    9. Arize, A. C., 1995. "Trade flows and real exchange-rate volatility: an application of cointegration and error-correction modeling," The North American Journal of Economics and Finance, Elsevier, vol. 6(1), pages 37-51.
    10. Fang, WenShwo & Lai, YiHao & Miller, Stephen M., 2009. "Does exchange rate risk affect exports asymmetrically? Asian evidence," Journal of International Money and Finance, Elsevier, vol. 28(2), pages 215-239, March.
    11. Cueyt SEVIM & Taylan Taner DOGAN, 2016. "Turkiye Ekonomisinde Ihracat ve Doviz Kuru Oynakligi Iliskisi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 16(2), pages 303-318.
    12. Innocent U Duru & Millicent Adanne Eze & Abubakar Sadiq Saleh & Benedict I Uzoechina & Gabriel O Ebenyi & Ekechi Chukwuka, 2022. "Exchange Rate Volatility and Exports: The Nigerian Scenario," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 12(1), pages 11-28.
    13. Jonathan M. Chipili, 2013. "Exchange Rate Volatility and Trade Flows in Zambia," African Development Review, African Development Bank, vol. 25(1), pages 55-66, March.
    14. Koi Nyen Wong & Tuck Cheong Tang, 2009. "Exchange rate variability and the export demand for Malaysia's semiconductors: an empirical study," Applied Economics, Taylor & Francis Journals, vol. 43(6), pages 695-706.
    15. David Kihangire, 2005. "The Effects Of Exchange Rate Variability On Exports: Evidence From Uganda (1988 – 2001)," International Trade 0505013, University Library of Munich, Germany.
    16. Bajo-Rubio, Oscar & Berke, Burcu & McMillan, David G., 2020. "Exchange rate volatility in the eurozone," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 14, pages 1-23.
    17. Mustafa Caglayan & Omar S. Dahi & Firat Demir, 2013. "Trade Flows, Exchange Rate Uncertainty, and Financial Depth: Evidence from 28 Emerging Countries," Southern Economic Journal, John Wiley & Sons, vol. 79(4), pages 905-927, April.
    18. Yuan, Yan & Awokuse, Titus O., 2003. "Exchange Rate Volatility And U.S. Poultry Exports: Evidence From Panel Data," 2003 Annual meeting, July 27-30, Montreal, Canada 22083, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    19. Auboin, Marc & Ruta, Michele, 2013. "The relationship between exchange rates and international trade: a literature review," World Trade Review, Cambridge University Press, vol. 12(3), pages 577-605, July.
    20. Gabriela Mordecki & Ronald Miranda, 2019. "Real Exchange Rate Volatility and Exports: A Study for Four Selected Commodity Exporting Countries," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 66(4), pages 411-437.

    More about this item

    Keywords

    Export; Exchange rate; Exchange rate volatility; Panel structural VAR;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F13 - International Economics - - Trade - - - Trade Policy; International Trade Organizations
    • F14 - International Economics - - Trade - - - Empirical Studies of Trade

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:empeco:v:66:y:2024:i:4:d:10.1007_s00181-023-02497-5. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.